This paper presents explicit ΓΏnite-dimensional ΓΏlters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and partially observed. The implementation of the NR algorithm requires evaluation of th
β¦ LIBER β¦
Exact filtering for partially observed continuous time models
β Scribed by Paul Fearnhead; Loukia Meligkotsidou
- Book ID
- 111038859
- Publisher
- Blackwell Publishing
- Year
- 2004
- Tongue
- English
- Weight
- 284 KB
- Volume
- 66
- Category
- Article
- ISSN
- 0952-8385
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